Similar Search Results

Idiosyncratic risk and expected returns in frontier markets : evidence from GCC

Bley, Jorg; Saad, Mohsen M. - In: Journal of international financial markets, … 22 (2012) 3, pp. 538-554

Persistent link: https://www.econbiz.de/10009623547

The economic value of realized volatility : using high-frequency returns for option valuation

Christoffersen, Peter F.; Feunou, Bruno; Jacobs, Kris; … - 2012

Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility … that use daily returns as well as realized volatility. We derive convenient closed-form option valuation formulas and we … assess the option valuation properties using S&P500 return and option data. We find that realized volatility reduces the …

Persistent link: https://www.econbiz.de/10009627514

Market skewness risk and the cross section of stock returns

Chang, Bo Young; Christoffersen, Peter F.; Jakobs, Kris - In: Journal of financial economics 107 (2013) 1, pp. 46-68

Persistent link: https://www.econbiz.de/10009715175

Industry-specific human capital, idiosyncratic risk, and the cross-section of expected stock returns

Eiling, Esther - In: The journal of finance : the journal of the American … 68 (2013) 1, pp. 43-84

Persistent link: https://www.econbiz.de/10009719762

The risk-return trade-off in emerging markets

Salvador, Enrique - In: Emerging markets finance & trade : a journal of the … 48 (2012) 6, pp. 106-128

Persistent link: https://www.econbiz.de/10009721133

Return sign forecasts based on conditional risk : evidence from the UK stock market index

Chevapatrakul, Thanaset - In: Journal of banking & finance 37 (2013) 7, pp. 2342-2353

Persistent link: https://www.econbiz.de/10009760654

Estimating C-CAPM and the equity premium over the frequency domain

Kalyvitēs, Sarantēs; Panopulu, Aikaterinē - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 551-571

Persistent link: https://www.econbiz.de/10010228554

Size, value, and momentum in emerging market stock returns

Cakici, Nusret; Fabozzi, Frank J.; Tan, Sinan - In: Emerging markets review 16 (2013), pp. 46-65

Persistent link: https://www.econbiz.de/10010243168

The role of jump dynamics in the risk-return relationship

Arshanapalli, Bala Gangadhar; Fabozzi, Frank J.; … - In: International review of financial analysis 29 (2013), pp. 212-218

Persistent link: https://www.econbiz.de/10010244955

Where are the sources of stock market mispricing and excess volatility?

Chen, Carl R.; Lung, Peter P.; Wang, F. Albert - In: Review of quantitative finance and accounting 41 (2013) 4, pp. 631-650

Persistent link: https://www.econbiz.de/10010246406